My vet does describe it as immunity, for what it's worth, and my understanding is that adults with "immunity" are expected to have relatively low parasite load, not only higher tolerance of parasite load. But certainly it only means relative immunity, not absolute immunity. Immune response that attacks eggs and freshly hatched parasites as the previous answer described (and as in the very cool video) seems to make sense.

ETA: I also have farm cats, and the cats get wormed every three months without fail for their whole lives (on advice of the same vet) so no expectation of immunity there. But I don't think it's economics of pets versus farm animals that is the reason for the difference, although avoidance of anthelmintic resistance is certainly a factor for the sheep.